GLS detrending-based unit root tests in nonlinear STAR and SETAR models

We extend GLS detrending procedure to testing for unit roots against STAR and SETAR alternatives. Monte Carlo simulations and applications to DM/Yen real exchange rates demonstrate that GLS detrending-based nonlinear unit root tests are more powerful than OLS detrending-based counterparts.

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Year of publication:	2008
Authors:	Kapetanios, George ; Shin, Yongcheol
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 100.2008, 3, p. 377-380
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005158996